LeBEAU
VIDEO

Sidewinder Bond Trading System
by Charles Le Beau and David Elden

$1,672.50 AVG. WINNING TRADE - 78% PROFITABLE - LONG AND SHORT

Trade By Trade Report

Background: We believe that markets should be viewed as having three directions: up, down and sideways. In order to complement and enhance our existing trend following systems the “Sidewinder” Bond System was designed to be a simple but logical system that would trade successfully during non-trending market periods. The “Sidewinder” Bond System trades both long and short during sideways periods where trend following system often fail. It should play a valuable role in our goal of being able to apply a multi system strategy to the bond market. With the addition of this innovative new system we now have bond systems capable of trading during up, down and sideways market environments as well as trading trending markets over both short and intermediate term time frames. The Sidewinder system brings us one important step closer to our ambitious goal of being able to trade bonds successfully regardless of the underlying direction of the market.

Strengths of the system: This system trades 96 times over the last 10 years. Trading one contract since 1/4/88 would have resulted in a gain of $95,681 with a maximum drawdown of $6,387.50. The system is highly accurate with 77 percent winning trades on the long side and 80% winning trades on the short side. In total 75 out of 96 trades were winners. The average trade (win and loss) was nearly $1,000 which we think is a good number. We were very pleased to see that in our test period there were 20 consecutive winners and only 3 consecutive losers which indicates that this should be a very friendly system to follow.

Weaknesses of the system: The largest winning trade was $13,837 (a long trade) which accounted for about 14% of the net profit. We have mixed feeling about large profits such as this in our test results. We prefer to see that our gains were not skewed significantly by a single big winner yet we are encouraged to see that the system is capable of producing large winning trades when the opportunity is presented.

Summary: A very respectable profit factor of 4.22 summarizes the general efficiency of the system: over the test period it has made a gross profit of $125,437 versus a gross loss of only $29,756. The “Sidewinder” system was a challenge because our policy in the past was to simply avoid sideways markets in favor of markets with strong trends. We were pleasantly surprised to find that sideways markets could be clearly defined and profitably traded. The Sidewinder was designed to be an enhancement to our existing bond systems but with only a slight modification in one of the parameters the Sidewinder can become an excellent stand alone system that can trade frequently in trending markets as well as during the sideways periods. The creative but solid logic of this system appears to have application in many different markets. We think we are on to something important here.

Includes $100.00 per trade deducted for slippage and Commissions

Includes $100.00 per trade deducted for slippage and Commissions

Includes $100.00 per trade deducted for slippage and Commissions